Download or read book Short term and Long term Stock Price Linkages Among the GCC Stock Markets and with the US Stock Market written by Naeem Muhammad and published by . This book was released on 2007 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Markets Dynamics in Oil Dependent Economies written by Wafaa Sbeiti and published by . This book was released on 2013 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the relationship between stock prices and main macroeconomic variables (i.e. oil prices, short-term interest rate and domestic credit) that are believed to affect stock prices in the context of the Gulf Cooperation Council (GCC) markets. For this purpose, this paper employed recent time series techniques of cointegration and Granger causality tests. The multivariate cointegration tests identified that oil prices, interest rates and domestic credit have long-term equilibrium effects on stock market prices in four GCC countries. In addition, the Granger causality test highlighted that the causality is running from oil prices to the stock price index in the case of Kuwait, Saudi Arabia and Oman. Also, the causal flow from the domestic credit to the index has been found in the case of Kuwait and Saudi Arabia; while the interest rate has causal effect on the stock price index in the case of Saudi Arabia, Bahrain and Oman. Further assessment of the relationship between these variables, based on generalised variance decomposition and generalised impulse response functions, reveals the importance of oil prices in explaining a significant part of the forecast error variance of the index in Kuwait, Saudi Arabia and Oman. Most of the variations in the stock prices can be captured by innovations in the three selected variables. Therefore, the causal relationship that macroeconomic variables granger caused stock prices are quantitatively supported by innovation analysis.

Download or read book Stock Markets of the Arab World written by A. S. Abdul Hadi and published by Taylor & Francis. This book was released on 2023-05-31 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 1988, Stock Markets of the Arab World provides a sound description and analysis of the stock market situation in Arab countries and an evaluation of previous attempts at the integration of capital markets. Foreign interest in the oil producing Arab countries has grown due to the accumulation of international reserves. Oil producers are looking for an alternative to their near-term investments in United States Securities through a diversification of their economies. This book argues that these countries could profitably invest these reserves through an integration of their securities markets. It also says that prospects of increased linkages among Arab domestic markets do exist. This is an interesting read for scholars and researchers of Middle East studies, Arab economy and economics in general.

Download or read book Stock Market Developments in the Countries of the Gulf Cooperation Council written by Ahsan Mansur and published by Palgrave MacMillan. This book was released on 2008-10-31 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book provides an analysis of the structural strengths and weaknesses of the Gulf stock markets and the appropriateness of policies implemented. It examines the effect of the 2006 correction on financial stability and economic growth and explains the differences in performance of some regional markets. This research integrates for the first time under a homogenous methodology the systematic analysis of all stock markets in the Gulf, identifies common trends and causes for differential behaviour and constitutes a key contribution toward the understanding of the functioning of the Gulf stock exchanges by domestic and foreign investors."--BOOK JACKET.

Download or read book Global Stock Price Linkages Around the US Financial Crisis written by Aldrin Herwany and published by . This book was released on 2013 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monetary authorities in Indonesia, as well as some academicians believe the absence of a long run relation between the Indonesian stock market and developed markets prevents this emerging market from being deeply affected by the US downturn. Nevertheless, this hypothesis may not apply to the domestic financial industry as these firms are involved in cross-country financial investments. This study examines the global linkage of Indonesian Financial Sector stock prices during the US downturn using cointegration tests and vector autoregression. This study examines linkages between the Indonesian Financial Industry with the same industry in the US, UK and four developed Asian markets, i.e., Tokyo, Hong Kong, Singapore, and Kuala Lumpur stock exchanges. We also conduct tests using pre-US-crisis data to show the linkage change magnitude. We find that financial sector stock prices in the Indonesian market are cointegrated with the six observed markets before and during the crisis. Nevertheless, Indonesian financial stock prices are relatively invulnerable to pressures coming from other observed markets Thus, fund managers can gain diversification benefit from a portfolio containing financial industry stocks of these markets either in the long or short run.

Download or read book Stock Market Short Termism written by Kim M. Willey and published by Springer. This book was released on 2019-07-12 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: Consideration of harmful short-termism in capital markets is prevalent amongst legal and business academics. It is also garnering increased attention in corporate board rooms and executive suites, and from the investing public. As a result, correcting perceived short-termism in capital markets has become a rationale for reform used by regulators across the globe. Despite the considerable attention given to this phenomenon, there has not yet been a comprehensive book analyzing the perceived short-termism problem, its sources and causes, and reform efforts undertaken to date. This book fills this gap by documenting the rise of the short-termism discussion, analyzing the significance of the problem, and considering the proposed legal remedies. Based on this analysis, a framework for effective short-termism reform is offered.

Download or read book Stock Market Interlinkages in Emerging Markets written by Ayaz Ahmed and published by . This book was released on 1998 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Macroeconomic Variables and Security Prices in India during the Liberalized Period written by Tarak Nath Sahu and published by Springer. This book was released on 2016-01-01 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: The liberalization and globalization of the Indian economy has made India more vulnerable to macro issues. This book provides a comprehensive analysis of the dynamic relationship between macroeconomic variables and stock prices in India. The research findings and policy implications discussed here may also be relevant for other emerging economies.

Download or read book Efficiency and Volatility Dynamics of Bangladesh s Stock Market written by Md Abu Hasan and published by Cambridge Scholars Publishing. This book was released on 2024-02-06 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contributes to empirical finance by comprehensively analysing an emerging stock market, employing modern econometric techniques. The most central and fascinating area of financial economics is probably the efficiency and volatility of the stock market – however, studies of emerging economies are relatively limited in this area. The rising importance of stock market globalisation has increased interest in emerging markets. This book leads the way for an emerging market perspective, as it explores the issue of efficiency and volatility of the stock market in Bangladesh by employing both univariate and multivariate models, using daily data of past share prices and monthly data of macroeconomic variables and the stock index, respectively. This book offers an understanding of the crucial issues facing developing economies, particularly emerging stock markets with similar characteristics to those of Bangladesh. This book undoubtedly provides valuable information for investors in the stock market, graduate, post-graduate, and PhD students in quantitative financial economics, academics in economics and finance, and policymakers in developing economies.

Download or read book Interdependence in Gulf Cooperating Stock Markets written by John L. Simpson and published by . This book was released on 2010 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Historically, the stock and securities markets in the Gulf Cooperating Countries (GCC) have been limited in their capacity to raise international capital. Apart from the fact that many are simply not open to outside investment, they have been regarded as thinly traded, less liquid and less efficient than Western stock markets. Meaningful and comparable stock market data has only been gathered for less than four years. The GCC countries are striving to strengthen and expand their financial markets in relation to their listing, regulatory, trading and settlement procedures, as well as to improve transparency and informational efficiency. The GCC economies have much in common including their growing levels of economic development and trade integration, and also their collective contribution to world oil production. Bahrain has long been regarded as the most open of the GCC economies, but the question arises as to whether or not Bahrain drives the other GCC markets. This study focuses on both short and medium-term relationships using ordinary least squares regressions, vector auto regressive techniques, cointegration tests, pairwise causality, variance decomposition and impulse response analysis of daily indexed share market data to provide evidence of continuing cointegration and interdependence in stock markets in the GCC. Saudi Arabia and Kuwait markets are the major drivers of the other GCC markets.

Download or read book Dynamic Linkages Among the Emerging Middle Eastern and the United States Stock Markets written by Yochanan Shachmurove and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Vector Auto Regression (VAR) and Beysian Vector Auto-Regression (BVAR) models are used to trace the dynamic linkages across daily returns of stock market indexes in the Middle East and the United States, and to investigate how a shock in one market is transmitted to other markets. The Middle East Countries are: Egypt, Israel, Jordan, Lebanon, Morocco, Oman, and Turkey. The dynamic linkages among these stock markets are found to be relatively small. The conclusion is that although markets are efficient, there are dynamic linkages that can be explored and exploited to benefit the diversified international investors.

Download or read book The Effect of Inflation Interest Rates and Exchange Rates on Stock Prices Comparative Study Among Two GCC Countries written by Mahfoudh Hussein Mgammal and published by . This book was released on 2018 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main purpose of this paper is to investigate whether stock prices and exchange rates are related to each other or not. Both the short term and the long term association between these variables are discovered. The study applies monthly and quarterly data on two gulf countries, including Kingdom Saudi Arabia (KSA) and United Arab Emirate (UAE) for the period January 2008 to December 2009. The results of this study in the short term found that the exchange rate influence positively on the stock market price index for United Arab Emirate and there is no association between them for Kingdom Saudi Arabia. Moreover the study in the long term found that the exchange rate influence negatively on stock market price index for the United Arab Emirate. While no association between these variables in Kingdom Saudi Arabia.

Download or read book Stock Market Bubbles with Reference to GCC Countries written by Karim Saadallah Haroun and published by . This book was released on 2007 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 2006 GCC stock markets experienced huge corrections which wiped out hundreds of billions of dollars worth of market capitalization. The extent of the decline was even more catastrophic in the long run for both Saudi Arabia and Dubai resu lting in a significant loss of income to many citizens in the region. In light o f the crash, the aim of this project is to provide a better understanding of mar ket bubbles and to address probable causes behind the GCC crash. After a general Introduction, Chapter 2 describes theoretical models behind market bubbles. Cha pter 3 highlights the historical occurrences of stock market booms and crashes c oncentrating on the hypotheses offered to explain the formation of these bubbles . Chapter 4 describes the boom and the recent crash of the stock markets in the GC C countries; three probable causes behind the crash are examined. The impact tha t IPO had on Saudi market performance is measured. We find that IPO had a downbe at effect on market performance, but that it did not trigger the crash. The role of fundamentals in the market was assessed. We find that prices were dictated b y noise rather than fundamentals and that expected growth was not high enough in order to justify valuations. Lastly we find that the activity of small or priva te investors has increased considerably in the market since 2003 and that during the "speculative attack" period small investors played an important role in dep reciating prices and causing "panic selling."

Download or read book The Bilateral Linkages Between the U S Stock Market and Six National Stock Markets in the First and the Second Order Moments written by Liu Yuan Tang and published by . This book was released on 2008 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Quarterly Journal of Business and Economics written by and published by . This book was released on 2007 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Linkages in World Financial Markets written by Carl Richard Neu and published by . This book was released on 2011 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is a consensus that the full consequences of the crisis would probably take years to become manifest and just as long for scholars to tease out all the intertwined strands of causality. Two questions about the crisis, however, seemed amenable to immediate analysis: Had the crisis made any difference in the way that short-term movements in various financial markets are linked to each other? And had anything happened to the traditional position of U.S. markets in setting the pattern for movements in global financial markets? This paper is an early examination of these questions. There are, of course, many financial markets in the world and many possible linkages among them. We chose to begin this analysis with an examination of linkages among major equity markets, in the United States, the UK, and Japan. Similar analyses of other financial linkages are possible, and perhaps the findings of this research will raise additional questions and suggest additional analyses.

Download or read book Macroeconomic Determinants of the Stock Market Movements written by Mofleh Ali Mofleh Alshogeathri and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigates the long run and short run relationships between Saudi stock market returns and eight macroeconomic variables. We investigate the ability of these variables to predict the level and volatility of Saudi stock market returns. A wide range of Vector autoregression (VAR) and generalized autoregressive conditional heteroskedasticity (GARCH) models estimated and interpreted. A Johansen-Juselius cointegration test indicates a positive long run relationship between the Saudi stock price index and the M2 money supply, bank credit, and the price of oil, and a negative long run relationship with the M1 money supply, the short term interest rate, inflation, and the U.S. stock market. An estimated vector error correction model (VECM) suggests significant unidirectional short run causal relationships between Saudi stock market returns and the money supply and inflation. The VECM also finds a significant long run causal relationship among the macroeconomic variables in the system. The estimated speed of adjustment indicates that the Saudi stock market converges to the equilibrium within half a year. Granger causality tests show no causal relationship between Saudi stock market returns and the exchange rate. Impulse response function analysis shows no significant relationship between Saudi stock market returns and the macroeconomic variables. Forecast error variance decompositions suggest that 89% of the variation in Saudi stock market returns is attributable to its own shock, which implies that Saudi stock market returns are largely independent of the macroeconomic variables in the system. Finally, a GARCH-X model indicates a significant relationship between volatility of Saudi stock returns and short run movements of macroeconomic variables. Implications of this study include the following. (i) Prediction of stock market returns becomes more difficult as the volatility of the macroeconomic variables increases in the short run. (ii) Investors should look at the systematic risks revealed by these macroeconomic variables when structuring their portfolios and diversification strategies. (iii) Policymakers should seek to minimize macroeconomic fluctuations considering the effect of macroeconomic variables changes on the stock market when formulating economic policy.